Give it execute permissions and move it in /usr/bin. Drag it to the desktop to create a link on the desktop. It worked in my install: clicking on skype4.2 on the desktop launches skype 4.2 and it works. In terminal there is a warning but it works here. For more details I have installed in puppy 4.31:
gtk+-2.18.3-p4.pet
jwm-657-p4.pet (compiled by me)
gtkdialog3-0.7.20-1.pet
Make your tests.